Quote from kostia00:
If you're looking at daily volume, the volume includes spread trades. However, spread trades are not reported as last sales (due to ambiguity of price assignment?), and therefore do not appear in times and sales and do not show up on the IB charts. See http://www.interactivebrokers.com/cgi-bin/discus/show.pl?tpc=153&post=61197#POST61197
Yes, but programs like Quotetracker, which I and many people use as a front end, use the TOTAL VOLUME for the day , which now includes spread trades, to construct the volume bars.
So it creates a *huge* last bar when doing an intraday backfill. 50- 100 K large, depending what time of day , and how many spread trades there were.
Medved, the programmer of Quotetracker claims he cant tell the difference between 'missing' volume bars and this spread trade volume.
Not sure how this can be resolved. IB could omit spread trade volume altogether from the total figure, if that is an option.
As is stands, the charts are ugly and innacurate, especially volume based bars.
PS The charts in TWS do not display this problem as they do not do this 'adjust' for the difference in total volume and the sum of all the bars.